Alpinas are not more expensive than M models - don't know where you got this info.

The B3S is cheaper than a M3, as is the B3 GT to the M3 GTS.
The B5 and B6 are also 2000 EUR cheaper in base price (with more equippment) than the M5 & M6.

Sorry most of you guys have absolutely no idea about Alpina, never driven one, maybe never seen one in the flesh.
There is something very special about these cars. The leatherwork is goregeous and they just seem more "perfect".
The real strenght of Alpina is delivering very good every day performance and they are better at that than M.
Now if you are looking for a hardcore sportscar - thats not the right car to look at.
Alpina customers dont take their cars to the track, they drive it every day and want comfort but also the performance on the country roads.
Then there is the Autobahn - as Alpina driver - at 250km/h you say bye bye to most M drivers as they are limited to 250 - in recent models it is possible to get a higher top speed option, but still slower than the Alpina.
The exclusivity is another point, you get to see thousands of M cars but Alpina builds only a few hundreds per model.
Also as example try calling M GmbH for some question and try calling Alpina - customer service is much more personal.

Maybe I should mention I am an ex Alpina owner and that we had 5 Alpinas in the family...

+1 I could not have put it better myself except I do occasionally I do take my Alpina to the track (as we do not have Autobahns in the UK) to the annoyance of Porsche 911 Carrera drivers which I enjoy overtaking

I bet 99% of the individuals who bad month Alpina’s have never even driven one! Once you have driven one then you can appreciate Alpina's USP!

All the track driving instructors who have been on track with me in my Alpina have been totally amazed with the car especially with its road holding ability though corners, and these driving instructors do have the benefit of being driven around a track is some very expensive and fast cars.

Its not lighter its heavyer...
The M6 was specially built more lightweight, the B6 is based on the 650.
Also as said - it is no hardcore sportscar - its a (very fast) Gran Turismo.
Its not ment to be a direct competitor to the M6 - also be aware BMW wouldnt work with Alpina if they did built direct competition for the M Models.